Intraday Herding on a Cross-Border Exchange

Panos Andrikopoulos, Vasileios Kallinterakis, Mario Pedro Leite Ferreira, Thanos Verousis

Research output: Contribution to journalArticle

6 Citations (Scopus)
14 Downloads (Pure)

Abstract

This study investigates intraday herding on the Euronext, the world’s first cross-border consolidated exchange. Intraday herding is significant in the Euronext as a group and presents us with size, industry and country effects. Importantly, the trading dynamics of the group's member markets significantly affect each other and can, in the case of the Netherlands, promote herding formation. Intraday herding is found to be significant before, during and after the 2007-09 financial crisis period, with its presence appearing the least strong during the crisis. Overall, we demonstrate for the first time in the literature that cross-border exchanges harbour versatile herding dynamics at intraday level, a finding which reflects recent advances in financial technology and the ongoing financial integration in Europe.
Original languageEnglish
Pages (from-to)25-36
Number of pages12
JournalInternational Review of Financial Analysis
Volume53
Early online date1 Sep 2017
DOIs
Publication statusPublished - Oct 2017

Bibliographical note

NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, [53, (2017)] DOI: 10.1016/j.irfa.2017.08.010

© 2017, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

  • tick data
  • intraday herding
  • cross-border groups
  • EURONEXT

ASJC Scopus subject areas

  • Finance

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